Yes, aluminum can transfer heat much better than vinyl. That is, the vinyl is a very slight insulator, compared to the aluminum. But when "steady state" heat transfer is going on, one degree F (half a degree C) is about all the hindrance.
This issue has been investigated for various Surface devices over the last two years.
The Microsoft Store kiosk in my area even applies skins while you wait.
Any skin has more surface area than the smooth metal surface of the Surface device.
Applying a skin is much different than placing the device under a blanket or in a book bag or rubber case while powered on, etc.
These provide an air gap, a thermal insulator. Like a coat. Separates warmer from cooler.
Skins do not provide an air gap. They become part of the unit.
I personally use the pen loop, it does the job very well for me. I attach it to the inner side of the keyboard just right of the trackpad so the pen sits on the long edge. My old one stayed on for a year no problem. When I changed to sp4 type cover I put it in the same place only now its even more secure as I put a stickerboy skin on top of it.